I am a financial economist and an Assistant Professor of Finance (tenure track) at WU Vienna. Prior to that, I was a research fellow at Ross (U of M, Ann Arbor) and a PhD student at Goethe University Frankfurt.

My research interests are in Asset Pricing. Right now, I am particularly interested in risk sharing between heterogeneous agents, limits to this and how it affects asset prices.

For more information, see my CV.

Contact: ruediger.weber [at] wu [dot] ac [dot] at

I document a new stylized fact: the higher the share of institutional ownership in a stock, the more its valuation is driven by expected-return variation rather than by changes in dividend-growth expectations. As general equilibrium outcomes, expected returns inevitably depend on investors’ properties and the circumstances they are under. Time-variation in the volatility of the pricing kernel of institutional investors acting as marginal investors in stocks with high institutional ownership translates into time-varying expected returns in those stocks. In my model, imperfect sharing of time-varying risk generates cross-sectional differences in return predictability depending on ownership. My findings help explain the weak return predictability of small and value stocks and the postwar predictability reversal.
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We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that investors demand on average about seven percent return per year as a compensation for a late resolution of uncertainty. In a general equilibrium model, we show that `late' stocks can only have higher expected returns than `early' stocks, if the investor exhibits a preference for early resolution of uncertainty. Our empirical analysis thus provides a purely market-based assessment of the timing preferences of the marginal investor.
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I test the hypothesis that the differences in return predictability between the value and growth portfolios are indeed due to value stocks having shorter cash flow duration. I find that duration acts as amplification for the change in dividend yields that is caused by discount rate variation. However, differences in return predictability across book-to-market sorted portfolios go beyond the effect of duration. For comparable cash flow duration, discount rate variation explains about 40% more of the dividend yield variation for growth stocks as opposed to value stocks. This is consistent with recent research suggesting that the exposure to value-specific risks is not driven by duration.

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